基于复杂网络的商业银行资本稳定性动态研究

发布时间：2018-01-21 19:51

本文关键词： 复杂网络商业银行资本稳定性　出处：《天津大学》2016年硕士论文　论文类型：学位论文

【摘要】：随着世界经济金融的不断发展,经济运行周期的稳定性,尤其是金融系统的稳定性,越来越成为当前社会持续平稳发展的关键点。在整个金融系统中,商业银行系统以其发展的规模、发挥的作用,成为金融系统中不可或缺的重要角色。在银行系统中,资金流动的稳定性和安全性不仅仅取决于每一个参与银行自身的特性和经营财务状况,也取决于整个银行系统自身的结构和其所处的经济金融环境。因此,银行监管部门的职责是要运用一系列监管政策和手段,对银行系统中现有或潜在的风险进行识别和隔离,确保整个银行系统的稳定性不因其中一家银行或者少数几家银行的违约破产而受影响。在银行系统中,当银行不能对其欠款进行偿付,即发生违约现象。当一家银行的资本数额较大时,其应对大规模偿付的能力相对较强,发生违约的风险较低。相反,若一家银行的资本水平较低时,其应对大规模偿付的能力相对较差,发生违约的风险较高。当一家银行的资本不足以对外偿付时,即失去偿债能力,陷入破产危机。为防止银行倒闭,保证银行系统和金融系统的稳定性,银行监管机构通常会采取一系列措施对银行的资本进行监管。监管的目的是使银行维持充裕的资本金,防止商业业银行资不抵债状况的发生。一旦多家银行发生违约状况,银行系统就会发生系统性风险,从而引发金融危机。本文从复杂网络的角度出发,探求商业银行资本充足率与其同业业务之间的联动关系。通过梳理和总结国内外学术界关于复杂网络和商业银行资本充足率方面的研究,阐述复杂网络和商业银行资本充足率的主要理论知识及巴塞尔协议发展历程,构建出以各商业银行作为节点、以风险之间存在的直接影响关系为边、基于商业银行资本稳定性的无向加权关系网络。并依据银行自身特性及在银行业务网络拓扑结构设定网络阈值,即商业最低资本水平。最后,从三个层面出发对网络做出分析和评价:从微观层面对网络中各节点统计参数进行分析,识别网络中的Hub节点,定位关键性风险;从中观层面对网络中Hub节点所在局部网络进行分析,设定Hub节点触发风险的阈值范围,识别网络中与Hub节点紧密相连的关联节点,模拟局部网络风险动态传播途径;从宏观层面对网络整体的拓扑结构及网络特性进行分析,模拟风险在整个网络中的传播路径,并据此提出风险防范措施及相关流动性救助策略。
[Abstract]:With the continuous development of the world economy and finance, the stability of the economic operation cycle, especially the stability of the financial system, has become the key point of the sustained and stable development of the current society. Commercial banking system with its development scale, play a role in the financial system become an indispensable important role in the banking system. The stability and security of capital flows depend not only on the characteristics of each participating bank and its operating financial situation, but also on the structure of the entire banking system and the economic and financial environment in which it is located. The role of banking regulatory authorities is to use a series of regulatory policies and means to identify and isolate existing or potential risks in the banking system. Ensure that the stability of the entire banking system is not affected by the default of one or a few banks. In the banking system, when a bank is unable to pay its arrears. When the amount of capital of a bank is relatively large, its ability to cope with large-scale repayment is relatively strong, and the risk of default is lower. On the contrary, if a bank has a lower level of capital. Its ability to cope with large-scale payments is relatively poor, and the risk of default is high. When a bank's capital is insufficient to pay its debts, it becomes insolvent and falls into a bankruptcy crisis... in order to prevent the bank from collapsing. To ensure the stability of the banking system and the financial system, bank regulators usually take a series of measures to regulate the capital of banks. Once many banks default, there will be systemic risk in the banking system, which will lead to financial crisis. This paper starts from the point of view of complex network. Through combing and summing up the research on complex network and capital adequacy ratio of commercial banks at home and abroad, this paper explores the linkage relationship between the capital adequacy ratio of commercial banks and their interbank business. This paper expounds the main theoretical knowledge of the capital adequacy ratio of complex networks and commercial banks and the development course of the Basel Accord, and constructs the direct influence relationship between the risk and the commercial banks as the node. Based on the capital stability of commercial banks, an undirected weighted relational network. According to the characteristics of banks and the topological structure of the banking network, the network threshold is set, that is, the commercial minimum capital level. Finally. Analyzing and evaluating the network from three aspects: analyzing the statistical parameters of each node in the network from the micro level, identifying the Hub nodes in the network and locating the key risks; This paper analyzes the local network of Hub nodes in the network from the mesoscopic level, sets the threshold range of the trigger risk of Hub nodes, and identifies the associated nodes closely connected with Hub nodes in the network. Simulates the local network risk dynamic propagation way; This paper analyzes the topology and characteristics of the whole network from the macro level, simulates the propagation path of the risk in the whole network, and puts forward the risk prevention measures and the relevant liquidity rescue strategies.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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